Cut each roll, if using, in half horizontally, then lightly toast the cut sides, or one side of the baguette slices. Allow to cool.
Mix the oil, vinegar and mayonnaise together, add the prawns and stir until evenly coated. Spread the cream cheese over the toasted surfaces, sprinkle on some lettuce, then spoon on the prawn mixture. Sprinkle with cayenne pepper and garnish with prawns and a sprig of dill.